I tried using a package called mgarchBEKK (or mgarch) to estimate a VECM-GARCH model with a BEKK approach.
It seems like the package firstly estimates the VECM model, then uses the residuals (Epsilon ...

I need to estimate a multivariate VECM-GARCH (or simply VAR-GARCH) in R.
Browsing on the internet, I did not find anything yet.
Do you know if such kind of packages exists?
Please, note that a BEKK ...

My question is what would be the better( in terms of estimation accuracy) method of VaR calculation among below two:, also any small code snippet will be great as a starting point for me.
1st method: ...

I am trying to use delta-gamma method with montecarlo simulations to calculate the VAR of a portfolio consisting in options and equities.
To use the method I need to compute a gamma matrix, that has ...

I know how to compute VaR with long positions using PerformanceAnalytics. What about a portfolio consisting in two equities A and B, 100 USD long positions in each, and 2 stock options for the same ...

I need to compare two garch models, I try to do that by Value at Risk. In general, if I have an initial conditional variance, for example, h1, then I can predict the next N days conditional variance ...

I am trying to understand the formula for calculating SRRI for absolute return funds described in ESMA's guideline CESR/10-673, and Richard's answer has been of great help (What does this formula (to ...

I'm reviewing a VaR estimate adjusting a simple annualized volatility to an unwind period of x days - in this case for an equity position, using the following formula for a given annual volatility :
...

Suppose I want to calculate VaR for a known distribution with mean $\mu$, variance $\sigma^2$ and $\alpha$-quantile as, $VaR_{\alpha}$ = $\mu + \sigma q_{\alpha}$.
For a Gaussian distribution it is ...

I have a European call option with current stock price $S_0$, strike $K$, risk-free rate $r$, volatility $\sigma$, and time to maturity $T$ years.
I assume that the stock price at time $t$, which is ...

What inferences can one draw when given a modified VaR at x% confidence and an ordinary VaR at x% confidence level. If the two are equal one inference can be that returns are gaussian but that also ...

I would like to calculate historical Value at Risk for a portfolio that includes both long and short positions in forward contracts.
The part that confuses me is that I wonder whether the VaR of the ...

I'm trying to determine which of my portfolio simulations/backtests if any are good enough to put some money into. I outline an approach below and I'm interested in knowing:
What problems are there ...

First off, apologies for the cross-post from mathematics, but I found this site later and think it would be a better fit for the question (besides, there has been no comments/answers on mathematics ...

I am trying to determine a step-by-step algorithm for calculating a portfolio's VaR using monte carlo simulations. It seems to me that the literature for this is extraordinarily opaque for something ...

So far I have just theoretical knowledge of risk measure and never used them in application. Therefore I have some basic question how risk measures are used in reality and how they are implemented in ...

I am trying to figure out the following, for me unfamiliar type of question:
Given is a single asset portfolio: the Delta of the portfolio is 15, the value of the asset is 10 and the daily volatility ...

If we have a time series of returns and two time series of indicators, how would we test the use of these indicators if they are autocorrelated or nonstationary (VAR Models dont produce significant ...

Assume we have a VaR model wich says : the lost should not exceed X for more 3 days and we come up with more days where the lost exceeded X, what is usually done for the VaR model ?
Do we switch to ...

I'm performing a Monte Carlo to calculate value at risk (with a 3 dimension risk factor)
Now, I would like to calculate the error of the estimation of the VaR with respect to the number of simulations ...

I am trying to figure out some of the commonly used approaches to deal with FX forwards (in a currency portfolio containing spots, forwards and swaps) that would allow me to calculate the one day VaR ...

Let's assume we need to calculate a 1-day VaR for a portfolio of funds. Funds are traded, they can be bought and sold every day. We know exactly what the assets in each fund are. What is the right way ...

Doe's any one know the history behind, or background of the multiple naming conventions for the equivalent risk functions. Different quant authors prefer using different names, does any one know why? ...